Abstract
We formulate a project portfolio selection problem under uncertainty with two optimization criteria: a weighted average of economic and strategic gains, and a risk measure expressed as the expected total overtime cost. The optimal assignment of personnel with given skills to the tasks of the selected projects is incorporated as a subproblem. Searching for Pareto-optimal portfolios satisfying the given constraints amounts to a stochastic multi-objective combinatorial optimization problem, a problem type for which only a few general solution approaches are available at present. We apply a recently developed technique called adaptive Pareto sampling, solve a linear subproblem with an LP solver and use the NSGA-II algorithm for deterministic multi-objective optimization as an auxiliary procedure. A convergence result applicable in a more general context is also shown. To obtain objective function estimates, importance sampling is applied. The technique is tested on a benchmark derived from a real-world application case provided by the E-Commerce Competence Center Austria.
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